Related papers: Analytic Calibration in Andreasen-Huge SABR Model
In this work we mainly develop a new numerical methodology to solve a PDE model recently proposed in the literature for pricing interest rate derivatives. More precisely, we use high order in time AMFR-W methods, which belong to a class of…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…
We present a synthetic prediction market whose agent purchase logic is defined using a sigmoid transformation of a convex semi-algebraic set defined in feature space. Asset prices are determined by a logarithmic scoring market rule. Time…
We consider several classes of analytic parametrizations of hadronic scattering amplitudes, and compare their predictions to all available forward data in hadron-hadron, gamma-p and gamma-gamma reactions. Although these parametrizations are…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasi\'{n}ski interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Lo\`{e}ve expansion. Formulas are easily…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able…
We discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX options, an example of strongly skewed option prices, SLN…
In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of "the normal distribution standard options" with the…
We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent results of Daskalopoulos and Feehan (2011). We study the…
We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport. The method relies on the duality results…
When trading American and Asian options in the FX derivatives market, banks must calculate prices using a complex mathematical model. It is often observed that different models produce varying prices for the same exotic option, which…
In recent years, the problem of association rule mining in transactional data has been well studied. We propose to extend the discovery of classical association rules to the discovery of association rules of conjunctive queries in arbitrary…
We present a novel algebraic framework for computing hadron properties directly within the contact interaction model. Utilizing Fierz transformations, the method recasts the Bethe-Salpeter dynamics into equations for a minimal set of…
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot of attention both from the statistical and…